After rolling a critical hit while using deadly aim and practically one-shotting an Annis Hag, one of the other characters who was being threatened by said hag looked at my pirate-themed character and said "thank heavens for small favors", to which my pirate (gunslinger) replied, "thanks for naming me gun for me, mate."

3 of my 11 characters have had nicknames: Snickers (my witch, think about it), Snake (my summoner with something of a speech impedement and a thing for serpentine eidolons) and Sparky (my alchemist, with a penchant for fire).

My characters either go by their first names, last names, or nicknames, and they use whichever of those is their "default" as their "only" name, unless questioned down more thoroughly about it (which doesn't really happen, to be honest).